I'm starting with a doll in .psp format. Still in layers. If you have already merged your layers then skip and move on to step 2.
Step 1: Here is what a doll in .psp transparent background format will look like.
Base
Merge all layers by going to layers/merge/merge visible....
Step 2: right click on the doll and select copy.
Then, right click outside of the doll and click paste as new image.
You should now have a nicely cropped image.
Step 3: Adding a new layer...go to layers/add new raster layer/ok
Now move the new layer under the doll. By going to the layers toggle palette and dragging the top layer under the "merged" layer.
Step 4: Flood fill the bottom layer any color that is NOT in your image. Merge your layers again! Make sure your background and foreground colors are the same. This can be done by right and left clicking inside of the background of your image.
Step 5: Go to "colors/set palette transparency/optimized octree/set transparency value to current background color
Save as a .gif format since this is the only one which can hold a transparent merged image. You are done.